Philippe Février (CREST - LEI)

The purpose of this paper is to propose structural econometric methods for the empirical study of Wilson's (1979) share auction model. This is a common value model in which a single and perfectly divisible good is sold to a group of symmetric and risk-neutral buyers. The parameters in the distribution function of the value of the good and the signals received by the buyers are estimated using a two-step estimation procedure. The methods are applied to French Treasury securities auctions held in 1995. A counterfactual comparison shows that the Treasury's revenue in the discriminatory share auction (the mechanism adopted by the French Treasury) is higher than in the uniform share auction.